Topic: Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence
Jian Yang，Associate Professor of Finance，University of Colorado Denver
Time: July 1, 2011（Friday）3:00—4:30PM
Venue: Room 501, Jiageng Bld 2
Chair： Chinman Chui, assistant professor in finance, IFAS
Abstract：
With an international dataset of credit default spreads as a credit risk measure, we propose a novel empirical framework to identify the structure of credit risk network across major financial institutions around the recent 2007-2008 global credit crisis. The findings directly shed light on credit risk transmission in a financial network and indirectly help find systemically important financial institutions from the perspective of interconnectedness. Specifically, we are able to identify three groups of players including primary senders, exchange centers and prime receivers of credit risk information on the credit market. Further analysis shows that leverage ratios and certain aspect of corporate governance (i.e., CEO duality) may be significant determinants of identified different roles of financial institutions in credit risk transfer, while no such evidence is found for other factors including size, liquidity and asset write-down.
Presenter Introduction：
Jian Yang is a tenured Associate Professor of Finance at University of Colorado Denver, USA. Prof. Yang obtained his MS degree in Finance and PhD degree in Agricultural Economics from the Texas A&M University. He also holds a BS in Chemistry and a MA in Economics at Nankai University. His research interests are in the areas of investment, international finance, financial econometrics and corporate finance. His research has been published in journals such as Management Science, Journal of Financial and Quantitative Analysis, Journal of Econometrics, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Future Market, Journal of International Money and Finance, Journal of Business Finance and Accounting and Financial Review.
Download Paper：BankCDS.pdf